Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets

Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets

The authors consider Lévy processes with conditional distributions belonging to a generalized hyperbolic family and compare and contrast full density-based Lévy-expected shortfall (ES) risk measures and Lévy-spectral risk measures (SRM) with those of a traditional tail-based unconditional extreme va...

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Bibliographic Details
Main Authors: Sharif Mozumder, M. Humayun Kabir, Michael Dempsey
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2017-11-01
Series:Investment Management & Financial Innovations
Subjects:
expected shortfall
extreme value
generalized hyperbolic distributions
Lévy-Khintchine formula
spectral risk measures
Online Access:https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9559/imfi_2017_03cont2_Mozumder.pdf

Internet

https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9559/imfi_2017_03cont2_Mozumder.pdf

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